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Capital flows and GDP in emerging economies and the role of global spillovers
Beckmann, Joscha; Czudaj, Robert - 2017
This paper provides a global analysis of capital flow impacts on GDP for selected emerging economies. As additional control variables, we also include currency reserves and effective exchange rates in our analysis. We distinguish between gross and net capital flows and also assess the impact of...
Persistent link: https://www.econbiz.de/10011776962
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A Joint Impulse Response Function for Vector Autoregressive Models
Wiesen, Thomas - 2020
Many applications call for measuring the response due to shocks from several variables at once. We introduce a joint impulse response function (jIRF) that is independent of the order of the variables and allows for simultaneous shocks from multiple variables in the VAR rather than one at a time...
Persistent link: https://www.econbiz.de/10012844311
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Is gold a safe haven for the dynamic risk of foreign exchange?
Wang, Kuan Min; Thi, Thanh-binh Nguyen; Lee, Yuan-Ming - In: Future Business Journal 7 (2021), pp. 1-17
error correction model for testing the hypothesis of dynamic hedging characteristics of gold on exchange rate. As the … existing literature has never considered that the foreign exchange risk hedged by gold is dynamic, this study can fill the … research gap in this area. The empirical results show that: First, gold can partly hedge against the depreciation of the …
Persistent link: https://www.econbiz.de/10012668314
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The Adjustment of the Yule-Walker Relations in VAR Modeling : The Impact of the Euro on the Hong Kong Stock Market
Brailsford, Tim - 2016
Vector autoregressive models are increasingly being used in the analysis of relationships within and between financial markets. In such models, there are circumstances that require zero entries in the coefficient matrices. Such circumstances can be particularly relevant in the context of markets...
Persistent link: https://www.econbiz.de/10013004302
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Volatility spillovers among cryptocurrencies
Smales, Lee A. - In: Journal of risk and financial management : JRFM 14 (2021) 10, pp. 1-12
The cryptocurrency market has experienced stunning growth, with market value exceeding USD 1.5 trillion. We use a DCC-MGARCH model to examine the return and volatility spillovers across three distinct classes of cryptocurrencies: coins, tokens, and stablecoins. Our results demonstrate that...
Persistent link: https://www.econbiz.de/10012792439
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Forecasting cryptocurrencies under model and parameter instability
Catania, Leopoldo; Grassi, Stefano; Ravazzolo, Francesco - In: International journal of forecasting 35 (2019) 2, pp. 485-501
Persistent link: https://www.econbiz.de/10012300691
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Forecasting with specification‐switching VARs
Hwang, Youngjin - In: Journal of forecasting 36 (2017) 5, pp. 581-596
Persistent link: https://www.econbiz.de/10011860701
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Forecasting with Bayesian vector autoregressive models : comparison of direct and iterated multistep methods
Sugita, Katsuhiro - In: Asian journal of economics and banking : AJEB 6 (2022) 2, pp. 142-154
Purpose - The paper compares multi-period forecasting performances by direct and iterated method using Bayesian vector … are conducted to compare forecasting performances. An empirical study using US macroeconomic data are shown as an … with longer lag model and with longer forecast horizons. Implementing SSVS prior generally improves forecasting performance …
Persistent link: https://www.econbiz.de/10013352634
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Assessing identifying restrictions in SVAR models
Piffer, Michele - 2016 - This draft: March 22, 2016
This paper proposes a Bayesian approach to assess if the data support candidate set-identifying restrictions for Vector Autoregressive models. The researcher is uncertain about the validity of some sign restrictions that she is contemplating to use. She therefore expresses her uncertainty with a...
Persistent link: https://www.econbiz.de/10011446039
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Point, interval and density forecasts of exchange rates with time-varying parameter models
Abbate, Angela; Marcellino, Massimiliano - 2016
We explore whether modelling parameter time variation improves the point, interval and density forecasts of nine major exchange rates vis-a-vis the US dollar over the period 1976-2015. We find that modelling parameter time variation is needed for an accurate calibration of forecast confidence...
Persistent link: https://www.econbiz.de/10011489395